[R-SIG-Finance] backtesting engine (full-blown) application
m_olshansky at yahoo.com
Wed Sep 26 07:48:25 CEST 2007
About 2 years ago (while working for Brevan Howard) we
looked at some such applications and even had a couple
of them installed. I can ask my former colleagues for
However, keep in mind that it will take time to learn
to use the application and to get sure that you can
trust there analysis. Moreover, depending on how
complex (mathematically) your trading strategy is,
they may or may not have all the
(mathematical/statistical) functions you need
So if you can easily get the historical data and need
to check just a few strategies you may end up doing it
faster using R (or Matlab).
--- adschai at optonline.net wrote:
> Hi - I guess you might have experience or suggestion
> on this subject. I am looking for an application
> vendor that supports strategy creation, backtesting
> and also offers actual AES functionality. Also,
> pre-trade and post-trade analysis should be
> supported. I'm wondering if there is any vendor that
> provides a good framework at reasonable $$ or not.
> Any suggestion would be really appreciated. Thank
> - adschai
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